The Information Content of German Discount Rate Changes

Posted: 28 Oct 1996

See all articles by Jens Weidmann

Jens Weidmann

Federal Statistical Office

Manfred J.M. Neumann

University of Bonn - Institute of International Economic Policy

Date Written: Undated

Abstract

Discount rate changes always receive considerable attention in financial markets and a bulk of empirical papers shows that asset markets react to them. However, among researchers, there is no consensus yet about why markets respond to such changes. This paper analyses this issue for the Bundesbank's discount rate changes after 1979. The empirical results indicate that the overnight rate reacts to changes in the discount rate to the extent that they are unanticipated. Moreover, this effect cannot be attributed to a direct "borrowing cost effect", but exclusively to announcement effects.

JEL Classification: E43, E52

Suggested Citation

Weidmann, Jens and Neumann, Manfred J.M., The Information Content of German Discount Rate Changes (Undated). Available at SSRN: https://ssrn.com/abstract=3441

Jens Weidmann (Contact Author)

Federal Statistical Office ( email )

Gustav - Stresemann - Ring 11
Wiesbaden, 65189
Germany

Manfred J.M. Neumann

University of Bonn - Institute of International Economic Policy ( email )

Lennestrasse 37
Bonn 53113
Germany
(49 228) 739 232 (Phone)
(49 228) 737 953 (Fax)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
762
PlumX Metrics